Journal article | Zeitschriftenartikel

Investment strategies in the long run with proportional transaction costs and HARA utility function

We consider an agent who invests in a stock and a money market in order to maximize the asymptotic behaviour of expected utility of the portfolio market price in the presence of proportional transaction costs. The assumption that the portfolio market price is a geometric Brownian motion and the restriction to utility function with hyperbolic absolute risk aversion (HARA) enable us to evaluate interval investment strategies. It is shown that the optimal interval strategy is also optimal among a wide family of strategies and that it is optimal also in a time changed model in case of logarithmic utility.

Urheber*in: Dostal, Petr

Free access - no reuse

Extent: Seite(n): 231-242

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Quantitative Finance, 9(2)

Subject: Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Theorieanwendung

Event: Geistige Schöpfung

(who): Dostal, Petr

Event: Veröffentlichung

(where): Vereinigtes Königreich

(when): 2009

DOI: https://doi.org/10.1080/14697680802039873

URN: urn:nbn:de:0168-ssoar-221213

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:27 PM CEST

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Zeitschriftenartikel

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Dostal, Petr

Time of origin

2009

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Investment strategies in the long run with proportional transaction costs and HARA utility function

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